Open-ended sandbox (roguelike? Soon?). I've been tempted to have the savegame cleared out when your chapter crumbles to prevent save-skumming, though if I ever do that, there'll be the option to disable it. Once, you know, I add an options menu.
While playing DF adventure mode, it made me think in regards of chapters crumbling.
DF "losing is fun" is because losing has a gameplay value : you can visit the ruins of you crumbled , even fight what's in there or in the case of losing adventurers, they have left a trace of their existence in the world, both in the Legends and in future fortresses you may have a dwarf making an item describing an action of your fallen hero, you can reclaim lost fortresses etc...
Or similarly to Crawl that save your fallen characters into bones file and can use them as "ghosts"
In the context of Chapter Master, i can imagine for a value being given to losing (so the player would accept much more the defeat instead of save scumming) several possibilities :
-ruins of your previous chapters sometime spawning on planets
-similarly to space hulks, you may find derelicts floating warships of your old chapters
-artifacts found or manufactured could have some representation of one of your crumbled chapters
-chaos forces could features troops from a crumbled chapter, as if they had in fact been corrupted by the chaos
-in the same spirit of the "Legion of the Damned" , you could have some ingame event when calling for a crusade in which a mysterious fleet of a crumbled chapter charge in , instead of regular imperial fleets to help and disappear after battle
etc...